A Preconditioned Iterative Interior Point Approach to the Conic Bundle Subproblem

The conic bundle implementation of the spectral bundle method for large scale semidefinite programming solves in each iteration a semidefinite quadratic subproblem by an interior point approach. For larger cutting model sizes the limiting operation is collecting and factorizing a Schur complement of the primal-dual KKT system. We explore possibilities to improve on this by … Read more